I recently switched from my PC to Mac and I have one small problem. When I "close" (click red x on window title) ST is closed but it's always in Dock, when I open it Open Files list is clean.When I do CMD+Q and then open ST that Open Files list is as I want (last files are there), so problem is that I won't clean up that Open Files list.

Is there way to normal close ST w/o keeping it in Dock, or some settings to keep Open Files list all the time ?

On Windows, when you close the last remaining window, the application quits and remembers what was open next time you open it.

On OS X, when you close the last remaining window, you've just closed all your files but not quit the application. Thus, when you make a new window, there are no open files (you just closed them all). There's a distinction between closing the window and quitting the program.